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Financial Innovation

Table 8 The DMW statistic for new models in forecasting short-term and medium-term realized volatility

From: Can the Baidu Index predict realized volatility in the Chinese stock market?

 

HAR-RV-J-B

HAR-CJ-B

PS-B

PSLev-B

HAR-RSV-B

HAR-RSV-J-B

HAR-RV-SJ-B

HAR-CSJ-B

HAR-RV-SJd-B

HAR-CSJd-B

Panel A: forecast horizon h = 1

HAR-RV-B

4.0807

1.6891

− 2.0692

− 1.8273

− 2.0006

0.1823

3.3036

1.1339

2.5973

1.2350

HAR-RV-J-B

 

0.3662

− 3.2676

− 3.2847

− 3.1182

− 1.3122

− 1.2267

− 0.2848

− 1.3459

− 0.0502

HAR-CJ-B

  

− 2.5581

− 2.5172

− 4.6960

− 4.2706

− 0.6090

− 2.7970

− 0.8017

− 1.1591

PS-B

   

0.4489

− 0.6842

1.2702

3.0070

2.0891

2.8185

2.1299

PSLev-B

    

− 0.7775

1.1876

3.0441

2.0360

2.8454

2.0777

HAR-RSV-B

     

3.2200

2.9214

4.3298

2.9654

4.2688

HAR-RSV-J-B

      

1.0324

3.4305

1.0111

2.6947

HAR-RV-SJ-B

       

− 0.0190

− 0.6722

0.1924

HAR-CSJ-B

        

− 0.1227

0.6201

HAR-RV-SJd-B

         

0.3405

Panel B: forecast horizon h = 5

HAR-RV-B

5.1121

4.0309

1.8631

0.2815

− 2.5433

3.0124

5.1543

5.4313

5.1284

5.7115

HAR-RV-J-B

 

2.5138

− 4.7525

− 5.2395

− 4.8428

− 3.0511

1.9244

2.4414

− 0.0393

4.4486

HAR-CJ-B

  

− 3.9631

− 4.1078

− 4.7136

− 3.2531

− 2.4783

− 1.4977

− 2.5192

1.8971

PS-B

   

− 1.7914

− 3.1354

2.3000

4.7937

4.9920

4.7913

5.7495

PSLev-B

    

− 2.6953

3.0145

5.2791

5.4161

5.2741

5.7611

HAR-RSV-B

     

4.3329

4.8765

5.6750

4.8499

6.2292

HAR-RSV-J-B

      

3.1623

4.5779

2.9645

5.2586

HAR-RV-SJ-B

       

2.3713

− 0.3996

4.4116

HAR-CSJ-B

        

− 2.4615

3.6827

HAR-RV-SJd-B

         

4.4581

Panel C: forecast horizon h = 10

HAR-RV-B

3.5871

1.6059

− 0.2265

0.1255

− 1.5756

0.0165

3.3574

2.5526

3.3482

3.5180

HAR-RV-J-B

 

0.3498

− 3.5934

− 3.2313

− 3.2289

− 3.1719

− 2.2486

− 0.0045

− 0.9359

2.1956

HAR-CJ-B

  

− 1.6133

− 1.6039

− 2.1194

− 1.6005

− 0.5234

− 0.3217

− 0.4417

0.4023

PS-B

   

0.2670

− 1.6182

0.0692

3.4080

2.6632

3.3460

3.5591

PSLev-B

    

− 1.6408

− 0.0357

2.9941

2.3307

3.0113

3.3022

HAR-RSV-B

     

2.1674

3.0821

3.6786

3.0989

3.7385

HAR-RSV-J-B

      

2.8361

4.2123

2.8552

4.1197

HAR-RV-SJ-B

       

0.4644

1.1162

2.5653

HAR-CSJ-B

        

− 0.2333

1.9145

HAR-RV-SJd-B

         

2.3833

  1. Short-term covers forecast horizon of one day. Medium-term covers forecast horizon of 5 and 10 days. The new models are model (12) to (22) with investor attention. A positive statistic indicates that the model in the headline performs better than that in the first column. The statistic is a consistent estimate of the asymptotic variance, whose font is bold for significant result
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